These are a standard way of making your essays more cohesive. As @MikeVaughan said, they are called Transitional Words and they can work in a couple of different ways.
Temporal Markers put the parts of your essay in order according to the time of the events you are describing. Here, words like First, Secondly, Then, Later, and so on would be used to show the time relationship between events.
Semantic Markers indicate the relationship between different points according to meaning. Here, words like Although, Therefore, Moreover, and so on would tell you how one point/idea is related to another.
In both cases, it is definitely helpful as it adds structure and cohesion to your writing, helping the reader follow your train of thought more closely. Aside from that, it is indeed standard writing practice. In schools, the inclusion of these words contributes to the overall mark of an essay (I am a teacher).
Since you say that you do this without being aware of when you learned it, maybe run a google search for Transitional Words and Phrases to see if you can expand your vocabulary for the future.
Hope this helps.
N.B. First, Next, etc. can be semantic as well as temporal, since they can show the significance of a point as well as sequence.